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ResearchFormerly WizWand

Option Hedging

Benchmarks

DatasetSOTA methodMetricTrendResultsLast updated

S&P 500 options 317 longer prediction horizons

7.83Diebold-Mariano Test Statistic

92

Apr 2, 2026

S&P 500 options 317 shorter prediction horizons (out-of-sample)

6.92DM Test Statistic

92

Apr 2, 2026

317 shorter prediction horizons

SKINN+DSNN-NASV

1.8Diebold-Mariano Test Statistic

64

Apr 2, 2026

317 longer prediction horizons (out-of-sample)

-8.42Diebold-Mariano Test Statistic

64

Apr 2, 2026

91Shortfall Probability

5

Mar 10, 2026

0.96Shortfall Probability

4

Mar 10, 2026

39Shortfall Probability

3

Mar 10, 2026

XOP K/F=1.03 2025Q2

2.711Expected Shortfall (ES5%)

2

Mar 10, 2026

SPY K/F=1.03 2025Q2

14.535ES 5%

2

Mar 10, 2026

17.711ES 5%

2

Mar 10, 2026

SPY K/F=1.03 2020Q1

6.187Expected Shortfall (5%)

2

Mar 10, 2026

XOP K/F=1.03 (τ = 56d) 2020Q1

42.4ES5%

2

Mar 10, 2026

XOP K/F=1.03 2020Q1

50.2ES 5%

1

Mar 10, 2026

XOP K/F=1.03 (τ = 56d) 2025Q2

2.893ES5% (Expected Shortfall 5%)

1

Mar 10, 2026

XOP ATM (τ = 56d) 2025Q2

3.898Exposure Shortfall (ES5%)

1

Mar 10, 2026

XOP ATM (τ = 56d) 2020Q1

42.4Exposure Shortfall 5% (ES5%)

1

Mar 10, 2026

SPY 2025Q2 K/F=1.03 (τ = 56d)

15.437ES5%

1

Mar 10, 2026

SPY ATM (τ = 56d) 2025Q2

22.015ES 5%

1

Mar 10, 2026

SPY K/F=1.03 (τ = 56d) 2020Q1

8.002ES (5%)

1

Mar 10, 2026

SPY ATM (τ = 56d) 2020Q1

9.963Exposure Shortfall (5%)

1

Mar 10, 2026